I have read that I should follow the “BuddyPress” option under “Site Admin” menu, in order to change the member theme.

That is outdated information. If you are using BuddyPress 1.0 and have the bpmember folder installed in /wp-content/bp-themes/, then what I described is correct.

Log in to WPMU’s backend as site admin, then go to “BuddyPress > General Settings > Select theme to use for BuddyPress generated pages”. After selecting a member theme, make sure you hit the “Save Settings” button.

I too am confused about this. “BuddyPress > General Settings > Select theme to use for BuddyPress generated pages” just gives me a list of my regular installed themes (minus bphome), but there are no “member” themes in the list. Is this a bug?